A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint

DOI10.1016/j.sysconle.2018.02.005zbMath1388.93106OpenAlexW2792089833MaRDI QIDQ1643396

Haiyang Wang, Jianhui Huang, Zhen Wu

Publication date: 19 June 2018

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2018.02.005

zbMATH Keywords

maximum principleClarke's generalized gradientreflected backward stochastic differential equationsmixed control problemsrecursive optimal control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (2)

A kind of stochastic recursive Zero-Sum differential game problem with double obstacles constraint ⋮ Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

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• Stochastic Differential Utility
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